Measuring the synchronisation of agricultural prices: co-movement of cycles in pig and cattle prices in Brazil, Chile and Uruguay. (15th March 2021)

• Record Type: Journal Article
• Authors: Fliessbach, Astrid; Ihle, Rico
• Is Part Of: European review of agricultural economics. Volume 49:Number 3(2022)
• Page Start: 593
• Page End: 614
• Publication Date: 2021-03-15
• Subjects: capital asset pricing model -- cointegration -- concordance index -- pork cycle -- price analysis -- price cycle; Agriculture -- Economic aspects -- Periodicals; Agriculture -- Economic aspects -- Europe -- Periodicals; 338.109405
• DOI: 10.1093/erae/jbab015
• Languages: English
• ISSNs: 0165-1587

Abstract

Abstract: Simultaneous spikes in global prices of many agricultural commodities in recent years have induced an interest in quantifying the degree of synchronisation of these movements. We suggest a conceptual framework explaining why temporally varying price synchronisation may happen and propose the concordance index for the empirical measurement of the incidence, symmetry and permanence of synchronisation. We establish that the index generates insights into time series dynamics which are complementary to those obtained from cointegration analysis. We illustrate the approach with an application for the co-movement in cyclical components of pig and cattle prices in three Latin American countries. The findings reveal moderate synchronisation levels which show asymmetric instabilities.